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Estimating Euler equations with noisy data: two exact GMM estimators

Abstract:

In this paper we exploit the specific structure of the Euler equation and develop two alternative GMM estimators that deal explicitly with measurement error. The first estimator assumes that the measurement error is lognormally distributed. The second estimator drops the distributional assumption and solves out for the unknown, but constant, conditional mean. Our Monte Carlo results suggest that both proposed estimators perform much better than conventional alternatives based on the exact Eul...

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Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2006-10-01
Paper number:
283
Keywords:
Pubs id:
507195
Local pid:
pubs:507195
Deposit date:
2020-12-14

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